IMhhO if you can arrange to pick the frieght up at the shipper's office it's not so bad this time of year. I just hate for critters to be on the unheated delivery truck just when the heat packs begin to conk out.
I do all the time. I second having it held for pickup. Just works out better that way. You should still go as soon as the place opens to get it, but it keeps an extra set of hands off the package and keeps it out of a cold truck.